An Examination of the Relationship Between Trading Volume and Price Volatility on the CME-SIMEX Link PDF Download
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Author: Joseph E. Finnerty
Publisher:
ISBN:
Category :
Languages : en
Pages : 17
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Author: Joseph E. Finnerty
Publisher:
ISBN:
Category :
Languages : en
Pages : 17
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Author:
Publisher:
ISBN:
Category : Business
Languages : en
Pages : 564
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Author: University of Illinois at Urbana-Champaign. Bureau of Economic and Business Research
Publisher:
ISBN:
Category : Economic research
Languages : en
Pages : 396
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Author: David A. Ziebart
Publisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 708
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Author: Leon Zolotoy
Publisher:
ISBN:
Category :
Languages : en
Pages : 36
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In this paper we study the dynamic relationship between trading volume, volatility, and stock returns at the international stock markets. First, we examine the role of volume and volatility in the individual stock market dynamics using a sample of ten major developed stock markets. Next, we extend our analysis to a multiple market framework, based on a large sample of cross-listed firms. Our analysis is based on both semi-nonparametric (Flexible Fourier Form) and parametric techniques. Our major findings are as follows. First, we find no evidence of the trading volume affecting the serial correlation of stock market returns, as predicted by Campbell et.al (1993) and Wang (1994). Second, the stock market volatility has a negative and statistically significant impact on the serial correlation of the stock market returns, consistent with the positive feedback trading model of Sentana and Wadhwani (1992). Third, the lagged trading volume is positively related to the stock market volatility, supporting the information flow theory. Fourth, we find the trading volume to have both an economically and statistically significant impact on the price discovery process and the co-movement between the international stock markets. Overall, these findings suggest the importance of the trading volume as an information variable.
Author: Joint Bank-Fund Library
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 756
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Author: London Business School. Library
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 372
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Author:
Publisher:
ISBN:
Category : Banks and banking, International
Languages : en
Pages : 702
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Author: Jeffrey A. Frankel
Publisher: University of Chicago Press
ISBN: 0226260232
Category : Business & Economics
Languages : en
Pages : 358
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The foreign exchange market is the largest, fastest-growing financial market in the world. Yet conventional macroeconomic approaches do not explain why people trade foreign exchange. At the same time, they fail to explain the short-run determinants of the exchange rate. These nine innovative essays use a microstructure approach to analyze the workings of the foreign exchange market, with special emphasis on institutional aspects and the actual behavior of market participants. They examine the volume of transactions, heterogeneity of traders, the time of day and location of trading, the bid-ask spread, and the high level of exchange rate volatility that has puzzled many observers. They also consider the structure of the market, including such issues as nontransparency, asymmetric information, liquidity trading, the use of automated brokers, the relationship between spot and derivative markets, and the importance of systemic risk in the market. This timely volume will be essential reading for anyone interested in the economics of international finance.
Author:
Publisher:
ISBN:
Category : Risk management
Languages : en
Pages : 666
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